Hamidi Sahneh, Mehdi (2013): Testing for Noncausal Vector Autoregressive Representation.
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Abstract
We propose a test for noncausal vector autoregressive representation generated by non-Gaussian shocks. We prove that in these models the Wold innovations are martingale difference if and only if the model is correctly specified. We propose a test based on a generalized spectral density to check for martingale difference property of the Wold innovations. Our approach does not require to identify and estimate the noncausal models. No specific estimation method is required, and the test has the appealing nuisance parameter free property. The test statistic uses all lags in the sample and it has a convenient asymptotic standard normal distribution under the null hypothesis. A Monte Carlo study is conducted to examine the �finite-sample performance of our test.
Item Type: | MPRA Paper |
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Original Title: | Testing for Noncausal Vector Autoregressive Representation |
English Title: | Testing for Noncausal Vector Autoregressive Representation |
Language: | English |
Keywords: | Explosive Bubble; Identification; Noncausal Process; Vector Autoregressive. |
Subjects: | C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models C - Mathematical and Quantitative Methods > C5 - Econometric Modeling |
Item ID: | 68867 |
Depositing User: | Mehdi Hamidisahneh |
Date Deposited: | 17 Jan 2016 11:17 |
Last Modified: | 29 Sep 2019 10:55 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/68867 |